Spanish Abstract: La predicción de los precios de las materias primas es importante por su impacto a nivel macroeconómico en las naciones que dependen de su comercio internacional, así mismo tiene importancia financiera para quienes negocian sus futuros en bolsa. Este trabajo propone evaluar...

The valuation of options and to a large extent the financial derivatives market require an optimal estimation of the volatility, since this is precisely the variable that is negotiated. We present then a statistical methodology for the estimation of the volatility parameter for an asset using...

The valuation of options and to a large extent the financial derivatives market require an optimal estimation of the volatility, since this is precisely the variable that is negotiated. We present then a statistical methodology for the estimation of the volatility parameter for an asset using...

El presente documento analiza el impacto de las expectativas políticas sobre los retornos del índice general de la Bolsa de Valores de Lima (IGBVL) utilizando información para los periodos electorales de 1995 y 2000. La variable explicativa principal es una medida de la probabilidad de que un...

The purpose of this paper is to show that an affine model which incorporates the condition of no arbitrage enables improvements in forecasting the term structure of interest rates in Mexico. The three factors of the yield curve (level, slope and curvature) used in the model are estimated by the...

Four specifications of an affine model with risk aversion and no arbitrage conditions are estimated for the Mexican Term Structure of Interest Rates, contrasting their empirical properties and the accuracy of their in and out of sample forecasts. The traditional models are extended by adding...

The purpose of this paper is to show that an affine model which incorporates the condition of no arbitrage enables improvements in forecasting the term structure of interest rates in Mexico. The three factors of the yield curve (level, slope and curvature) used in the model are estimated by the...